Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0445
Annualized Std Dev 0.2590
Annualized Sharpe (Rf=0%) 0.1717

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1480
Quartile 1 -0.0067
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0072
Maximum 0.1022
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0163
Skewness -0.3242
Kurtosis 9.7140

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0120
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6810
Historical VaR (95%) -0.0232
Historical ES (95%) -0.0395
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0446
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-21 -0.6810 1502 444 1058
2018-08-22 2020-03-23 2021-03-08 -0.4809 639 398 241
2015-04-16 2016-01-20 2016-07-08 -0.2112 311 193 118
2014-07-02 2014-10-10 2014-11-12 -0.1014 94 71 23
2018-01-23 2018-02-08 2018-06-05 -0.0967 93 13 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 2.1 -0.8 -0.1 -1 -1.5 -0.4 -1 -2.7
2007 0.8 0 -0.1 0.4 0.9 -0.9 1.1 0.9 2.6 -4.1 0.3 -0.2 1.6
2008 2 -2.6 3.4 2.2 -0.5 0.3 0.8 -1.1 -1.8 4.3 -14.8 3.5 -5.6
2009 -3.8 -1.9 2.3 -0.6 4.2 1.9 0.5 -2.6 -3.3 -3.1 1.3 -0.9 -6
2010 0.5 1.1 0.5 -3 -2.7 -0.2 -0.2 3.1 0.5 -0.4 1.8 -0.5 0.3
2011 1.9 -1.7 0.3 -0.1 -2.6 1.3 -0.2 -2.5 -0.5 -3.9 -1.2 -0.8 -9.8
2012 2 0.2 -0.2 0 -2.2 2.2 -1.1 0.4 0.1 0.8 0.1 1.9 4.2
2013 0.9 0 -1 -2.5 -1 1.4 1.1 -1.7 0.8 -0.3 0.2 0 -2.1
2014 -0.6 0.4 1.1 -0.2 -0.1 1 -0.2 0.5 -0.9 1.3 -1 -0.9 0.3
2015 -2.1 -0.4 -0.1 0.6 0.3 0.4 0.4 -2.7 -0.2 -0.3 0.5 -1.2 -4.8
2016 -0.5 1.6 0 -0.3 0.5 0.4 -0.2 0 0.6 -1.8 -0.3 -0.2 -0.2
2017 -0.6 1.3 0.4 0.2 1.8 -0.2 0.2 0.8 -0.2 -0.4 -0.6 -0.5 2.2
2018 -0.6 0 0.6 0.1 0.3 -0.3 -0.6 0.3 -1.2 1.5 0.5 0.4 1
2019 -0.2 0.4 1.5 -1.1 -1.4 -0.1 -1.9 0.1 -1.9 1.3 -0.6 0.3 -3.8
2020 -2.4 -1.9 -6.4 -3.9 0.7 -1.8 -0.6 0.5 0.9 -0.7 1.1 0.5 -13.3
2021 1.6 2.9 0.1 NA NA NA NA NA NA NA NA NA 4.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart